Credit risk and operational risk
This page contains links to documents relating to credit risk and operational risk under the Capital Requirements Directive/Basel 2.
| Credit Risk | Date |
|---|---|
| Industry feedback: Retail SME [PDF] | October 2005 |
| Industry feedback: Mortgage data pooling [PDF] | May 2005 |
| Industry feedback: Mortgages, credit cards and unsecured personal loans [PDF] | March 2005 |
| Industry feedback: Large corporate rating probability of default models [PDF] | December 2004 |
| Industry Feedback: CRSG Paper Experience Requirement FAQ | April 2005 |
| Low Default Portfolios: A Proposal for Conservative Estimation of Default Probabilities [PDF] | April 2006 |
| Notice to market participants: The recognition of ECAIs for the standardised approach to credit risk and the ratings based approach to securitisation |
November 2005 |
| Notice to market participants: List of eligible External Credit Assessment Institutions (ECAIs) and mapping of the ECAIs' credit assessments to credit quality steps |
January 2007 |
| See also: Credit Risk Standing Group (CRSG), Credit Risk Mitigation Standing Group (CRMSG) and Securitisation Standing Group (SSG). | |
| Operational Risk | Date |
| Operational Risk Management Practices - Feedback from a thematic review | October 2007 |
| Industry Feedback: AMA - feedback following visits carried out in the second half of 2005 [PDF] While firms planning to apply for the AMA had substantial work to complete, as we expected, they were demonstrating that it is possible to make good progress on complex issues. |
March 2006 |
| Industry Feedback: Operational risk management practices [PDF] | February 2005 |
| See also: Operational Risk Standing Group (ORSG). | |
| Parallel Running | Date |
| Parallel running is the simultaneous operation by a firm of its existing systems to measure capital adequacy and new systems to generate figures for both credit and operational risk under Basel 2/CRD. The aim of parallel running is to ensure that those firms who apply to use the advanced approaches (IRB and AMA) have tested their systems and will be able to use them for capital calculations by the end of the parallel running period. | |
| Parallel Running for Firms applying to use the Advanced Approaches in Basel 2/Capital Requirements Directive ( CRD) | September 2005 |
